Credit Risk Modelling, Senior Manager

The role will primarily focus on developing, validating, and monitoring credit risk models for the consumer financing portfolio, including scorecard models.

Key Responsibilities:

Model Development:

• Lead the development of credit risk models, including scorecards, for the consumer financing portfolio.
• Utilize advanced statistical and machine learning techniques to build robust and predictive risk models.
• Collaborate with business units to understand their requirements and incorporate them into model development.
• Develop, implement, and optimize scorecard strategies in collaboration with stakeholders to monitor key risk indicators and performance metrics, analyze results, and provide actionable insights to senior management.

Model Validation:

• Conduct comprehensive validation of credit risk models to ensure accuracy, robustness, and compliance with regulatory standards.
• Perform back-testing and benchmarking to assess model performance and stability.
• Document validation findings and provide recommendations for model improvements.

Risk Assessment & Monitoring:

• Monitor the performance of credit risk models on an ongoing basis to ensure they remain predictive and aligned with risk appetite.
• Analyze model outputs and key risk indicators to identify emerging risks and trends in the consumer financing portfolio.
• Review and provide feedback on proposal papers for the introduction of new statistical methodologies, impacting credit risk

Regulatory Compliance:

• Ensure all credit risk models comply with internal policies and regulatory requirements.
• Prepare and present model documentation and validation results to the necessary parties.
• Stay updated on regulatory changes and assess their impact on credit risk modelling practices.

Data Management & Analytics:

• Leverage large datasets and advanced analytics to support model development and validation processes.
• Ensure data quality and integrity in model development and validation activities.
• Utilize data visualization tools to communicate complex analytical insights effectively.

Stakeholder Engagement:

• Act as a key point of contact for internal stakeholders on matters related to credit risk modelling and validation.
• Collaborate with IT, data analytics, and business teams to ensure seamless integration of models into decision-making processes.
• Provide expert advice and guidance on credit risk models to various stakeholders.
• Carry out any ad-hoc assignments assigned by Head of Credit Risk/ CRO/ Management/ Board from time to time

Qualification:

• A recognized degree in Actuarial Science/ Mathematic/ Statistics/ Finance or in any related field
• At least 5 years of relevant experience in in credit risk modelling and validation, with a focus on consumer financing portfolios.
• Proficiency in MS Office is required; experience with SAS and SQL is advantageous.
• Strong knowledge of statistical and machine learning techniques used in credit risk modelling.
• Proficiency in programming languages such as SAS, R, Python, or similar tools.
• Experience with regulatory requirements related to credit risk models (e.g., Basel, MFRS9).
• Excellent analytical, problem-solving, and quantitative skills.
• Effective communication and interpersonal skills, with the ability to present complex information clearly.
• Fluent English in speaking and writing